Yingzi Zhu

Tsinghua University - School of Economics & Management

Professor

Beijing, 100084

China

SCHOLARLY PAPERS

22

DOWNLOADS
Rank 1,077

SSRN RANKINGS

Top 1,077

in Total Papers Downloads

42,323

SSRN CITATIONS
Rank 10,613

SSRN RANKINGS

Top 10,613

in Total Papers Citations

96

CROSSREF CITATIONS

50

Scholarly Papers (22)

1.

Taming Momentum Crashes: A Simple Stop-Loss Strategy

Number of pages: 52 Posted: 12 Mar 2014 Last Revised: 25 Sep 2016
Yufeng Han, Guofu Zhou and Yingzi Zhu
University of North Carolina (UNC) at Charlotte - Finance, Washington University in St. Louis - John M. Olin Business School and Tsinghua University - School of Economics & Management
Downloads 9,170 (1,157)
Citation 5

Abstract:

Loading...

Momentum, crashes, downside risk, stop-loss orders

2.

A Trend Factor: Any Economic Gains from Using Information over Investment Horizons?

Number of pages: 63 Posted: 02 Dec 2012 Last Revised: 04 Aug 2016
Yufeng Han, Guofu Zhou and Yingzi Zhu
University of North Carolina (UNC) at Charlotte - Finance, Washington University in St. Louis - John M. Olin Business School and Tsinghua University - School of Economics & Management
Downloads 8,547 (1,317)
Citation 57

Abstract:

Loading...

Trends, Moving Averages, Asymmetric Information, Predictability, Momentum, Factor Models

3.

Technical Analysis and Theory of Finance

EFA 2007 Ljubljana Meetings Paper
Number of pages: 54 Posted: 05 Mar 2007
Yingzi Zhu and Guofu Zhou
Tsinghua University - School of Economics & Management and Washington University in St. Louis - John M. Olin Business School
Downloads 3,564 (5,851)
Citation 3

Abstract:

Loading...

Technical analysis, trading rules, asset allocation, predictability, learning

4.

Technical Analysis in the Stock Market: A Review

Number of pages: 34 Posted: 24 May 2021 Last Revised: 23 Sep 2022
Yufeng Han, Yang Liu, Guofu Zhou and Yingzi Zhu
University of North Carolina (UNC) at Charlotte - Finance, Hunan University - College of Finance and Statistics, Washington University in St. Louis - John M. Olin Business School and Tsinghua University - School of Economics & Management
Downloads 3,487 (6,081)
Citation 3

Abstract:

Loading...

Technical Analysis, Machine Learning, Genetic Programming, Cross-sectional Returns, Predictability

5.

An E-Arch Model for the Term Structure of Implied Volatility of FX Options

Number of pages: 25 Posted: 01 Apr 1997
Marco Avellaneda and Yingzi Zhu
New York University (NYU) - Courant Institute of Mathematical Sciences and Tsinghua University - School of Economics & Management
Downloads 2,726 (8,913)
Citation 2

Abstract:

Loading...

6.

Learning and Predictability via Technical Analysis: Evidence from Bitcoin and Stocks with Hard-to-Value Fundamentals

Number of pages: 51 Posted: 13 Feb 2018 Last Revised: 31 Jan 2020
Baylor University - Hankamer School of Business, Washington University in St. Louis - Olin Business School, University of Denver - Daniels College of Business, Washington University in St. Louis - John M. Olin Business School and Tsinghua University - School of Economics & Management
Downloads 2,498 (10,257)
Citation 14

Abstract:

Loading...

Bitcoin, Cryptocurrency, Technical Analysis

7.

Variance Term Structure and VIX Futures Pricing

Number of pages: 24 Posted: 25 Apr 2005
Yingzi Zhu and Jin E. Zhang
Tsinghua University - School of Economics & Management and University of Otago, Otago Business School, Department of Accountancy and Finance
Downloads 2,331 (11,484)
Citation 6

Abstract:

Loading...

Stochastic volatility, variance term structure, arbitrage-free model, volatility derivatives, VIX futures

8.

Trend Factor in China: The Role of Large Individual Trading

Olin Business School Center for Finance & Accounting Research Paper No. Forthcoming
Number of pages: 89 Posted: 13 Jun 2019 Last Revised: 06 Feb 2024
Yang Liu, Guofu Zhou and Yingzi Zhu
Hunan University - College of Finance and Statistics, Washington University in St. Louis - John M. Olin Business School and Tsinghua University - School of Economics & Management
Downloads 1,743 (18,220)
Citation 3

Abstract:

Loading...

Chinese Stock Market, Individual Trading, Factor Model, Anomalies, Mutual Funds

9.

A Theory of Technical Trading Using Moving Averages

Number of pages: 45 Posted: 17 Sep 2013 Last Revised: 23 Mar 2014
Guofu Zhou and Yingzi Zhu
Washington University in St. Louis - John M. Olin Business School and Tsinghua University - School of Economics & Management
Downloads 1,312 (27,946)
Citation 11

Abstract:

Loading...

Technical analysis, trend-following, asymmetric information

10.

Maximizing the Sharpe Ratio: A Genetic Programming Approach

Number of pages: 58 Posted: 13 Jan 2021 Last Revised: 02 Jan 2024
Yang Liu, Guofu Zhou and Yingzi Zhu
Hunan University - College of Finance and Statistics, Washington University in St. Louis - John M. Olin Business School and Tsinghua University - School of Economics & Management
Downloads 1,213 (31,341)
Citation 5

Abstract:

Loading...

Machine Learning, Genetic Programming, Cross-sectional Returns, Portfolio Optimization

11.

Fundamental Extrapolation and Stock Returns

European Finance Association 2020 Annual Meeting; American Finance Association 2022 Annual Meeting
Number of pages: 67 Posted: 16 Oct 2020 Last Revised: 26 Dec 2023
Singapore Management University - Lee Kong Chian School of Business, University of Edinburgh Business School, Washington University in St. Louis - John M. Olin Business School and Tsinghua University - School of Economics & Management
Downloads 1,188 (32,392)

Abstract:

Loading...

Fundamental Extrapolation; Return Extrapolation; Volatility; Expectation

12.

Macroeconomic Volatilities and Long-Run Risks of Asset Prices

Number of pages: 38 Posted: 13 May 2009 Last Revised: 18 Mar 2014
Guofu Zhou and Yingzi Zhu
Washington University in St. Louis - John M. Olin Business School and Tsinghua University - School of Economics & Management
Downloads 1,173 (32,918)
Citation 15

Abstract:

Loading...

Long-run Risk, Equity Risk Premium, Predictability, Variance Risk Premium

13.

Volatility Components: Evidence from VIX Futures Market

Number of pages: 33 Posted: 23 Sep 2008
Zhongjin Lu and Yingzi Zhu
University of Georgia - Department of Finance and Tsinghua University - School of Economics & Management
Downloads 666 (71,428)
Citation 1

Abstract:

Loading...

VIX futures, loglinear model, Kalman filter, Principal Component Analysis (PCA), variance term structure

14.

Volatility Components: The Term Structure Dynamics of VIX Futures

Journal of Futures Markets, Vol. 30, No. 3, pp. 230 - 256, April 2009
Number of pages: 33 Posted: 04 May 2010
Zhongjin Lu and Yingzi Zhu
University of Georgia - Department of Finance and Tsinghua University - School of Economics & Management
Downloads 664 (71,697)
Citation 3

Abstract:

Loading...

VIX futures, loglinear model, Kalman filter, Principal Component Analysis (PCA), variance term structure

15.

Volatility Trading: What is the Role of the Long-Run Volatility Component?

Number of pages: 49 Posted: 28 Apr 2010 Last Revised: 14 Dec 2010
Guofu Zhou and Yingzi Zhu
Washington University in St. Louis - John M. Olin Business School and Tsinghua University - School of Economics & Management
Downloads 656 (72,845)
Citation 7

Abstract:

Loading...

Volatility Trading, Asset Allocation, Long-run Volatility

16.

Why is the Recent Financial Crisis a ''Once-In-A-Century' Event?

Number of pages: 9 Posted: 27 Aug 2009
Guofu Zhou and Yingzi Zhu
Washington University in St. Louis - John M. Olin Business School and Tsinghua University - School of Economics & Management
Downloads 578 (85,336)

Abstract:

Loading...

financial crisis, Once-in-a-Century event, drawndown probability

Model Selection via Automated Machine Learning

Number of pages: 55 Posted: 10 Jul 2023
Yuhan Cheng, Guofu Zhou and Yingzi Zhu
Tsinghua University, PBC School of Finance, Students, Washington University in St. Louis - John M. Olin Business School and Tsinghua University - School of Economics & Management
Downloads 253 (214,965)

Abstract:

Loading...

Model Selection via Automated Machine Learning

Number of pages: 55 Posted: 05 Jul 2023
Yuhan Cheng, Guofu Zhou and Yingzi Zhu
Tsinghua University, PBC School of Finance, Students, Washington University in St. Louis - John M. Olin Business School and Tsinghua University - School of Economics & Management
Downloads 61 (637,265)

Abstract:

Loading...

Model Selection; Automated Machine Learning; Factor Model; Stock Return Prediction

18.

The Chinese Warrant Bubble: A Fundamental Analysis

Number of pages: 39 Posted: 11 Aug 2016
Yintian Wang, Guofu Zhou and Yingzi Zhu
Tsinghua University, Washington University in St. Louis - John M. Olin Business School and Tsinghua University - School of Economics & Management
Downloads 226 (241,076)

Abstract:

Loading...

Warrant bubble, short-selling and margin constraints, put-call parity

19.

Are Investors Irrational? - Study on China Warrant Market

Asian Finance Association (AsFA) 2013 Conference
Number of pages: 24 Posted: 21 Jan 2013
Yintian Wang and Yingzi Zhu
Tsinghua University and Tsinghua University - School of Economics & Management
Downloads 151 (344,727)

Abstract:

Loading...

Warrant bubble, hedging motivation, rational speculation, put-call parity

20.

Interpretable Factors of Firm Characteristics

Number of pages: 64 Posted: 03 Nov 2023 Last Revised: 27 Nov 2023
Yuxiao Jiao, Guofu Zhou and Yingzi Zhu
Tsinghua University, Washington University in St. Louis - John M. Olin Business School and Tsinghua University - School of Economics & Management
Downloads 116 (422,525)

Abstract:

Loading...

Factor model, Cross-sectional stock return, Cluster analysis, Model comparison, IPCA

21.

Perspectives: Is the Recent Financial Crisis Really a 'Once-in-A-Century' Event?

Financial Analysts Journal, Vol. 66, No. 1, 2010
Posted: 18 Feb 2010
Guofu Zhou and Yingzi Zhu
Washington University in St. Louis - John M. Olin Business School and Tsinghua University - School of Economics & Management

Abstract:

Loading...

Investment Theory, CAPM, APT, Pricing Theories, Risk Measurement and Management, Financial Markets

22.

VIX Futures

Journal of Futures Markets, Vol. 26, No. 6, pp. 521-531
Posted: 29 Aug 2005
Jin E. Zhang and Yingzi Zhu
University of Otago, Otago Business School, Department of Accountancy and Finance and Tsinghua University - School of Economics & Management

Abstract:

Loading...

VIX, VIX futures, square root process

Other Papers (1)

Total Downloads: 91
1.

Dynamic Volatility Strategy with Recursive Utility

Number of pages: 38 Posted: 13 Mar 2006
Yingzi Zhu
Tsinghua University - School of Economics & Management
Downloads 91

Abstract:

Loading...

Portfolio Choice, Recursive Utility, Martingale Approach, Stochastic Volatility